cGARCHfilter-class: class: Copula Filter Class

In rmgarch: Multivariate GARCH Models

Description

The class is returned by calling the function cgarchfilter.

Slots

mfilter:

Object of class "vector" Multivariate filter list.

model:

Object of class "vector" Model specification list.

Extends

Class "mGARCHfilter", directly. Class "GARCHfilter", by class "mGARCHfilter", distance 2. Class "rGARCH", by class "mGARCHfilter", distance 3.

Methods

coef

signature(object = "cGARCHfilter"): The coefficient vector (see note).

fitted

signature(object = "cGARCHfilter"): The conditional mean filtered data (xts object).

likelihood

signature(object = "cGARCHfilter"): The joint likelihood.

rcor

signature(object = "cGARCHfilter"): The conditional correlation array with third dimension labels the time index.

rcov

signature(object = "cGARCHfilter"): The conditional covariance array with third dimension labels the time index.

residuals

signature(object = "cGARCHfilter"): The model residuals (xts object).

show

signature(object = "cGARCHfilter"): Summary.

sigma

signature(object = "cGARCHfilter"): The model conditional sigma (xts object).

rshape

signature(object = "cGARCHfilter"): The multivariate distribution shape parameter(s).

rskew

signature(object = "cGARCHfilter"): The multivariate distribution skew parameter(s).

Note

The ‘coef’ method takes additional argument ‘type’ with valid values ‘garch’ for the garch parameters, ‘dcc’ for the second stage parameters and by default returns all the parameters in a named vector.

Author(s)

Alexios Galanos

References

Joe, H. Multivariate Models and Dependence Concepts, 1997, Chapman \& Hall, London.
Genest, C., Ghoudi, K. and Rivest, L. A semiparametric estimation procedure of dependence parameters in multivariate families of distributions, 1995, Biometrika, 82, 543-552.

rmgarch documentation built on Feb. 5, 2022, 1:07 a.m.